This chapter defines the denominator of the Liquidity Coverage Ratio: net cash outflows in the specified stress scenario for the subsequent 30 calendar days.

Version effective as of 15 Dec 2019

First version in the format of the consolidated framework.

Definition of total net cash outflows

40.1 The term total net cash outflows [Where applicable, cash inflows and outflows should include interest that is expected to be received and paid during the 30-day time horizon.] is defined as the total expected cash outflows minus total expected cash inflows in the specified stress scenario for the subsequent 30 calendar days. Total expected cash outflows are calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down. Total expected cash inflows are calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates at which they are expected to flow in under the scenario up to an aggregate cap of 75% of total expected cash outflows.

Total net cash outflows over the next 30 days = Total expected cash outflows - min (Total expected cash inflows, 75% of total expected cash outflows)

40.2 While most run-off rates, drawdown rates and similar factors are harmonised across jurisdictions as outlined in this standard, a few parameters are to be determined by supervisory authorities at the national level. Where this is the case, the parameters should be transparent and made publicly available.